Cubase does not have a problem in this regard.
You probably have Wndows or Windows Media player set up incorrectly as outlined by Grim, and as outlined by Tobyshark your ears may be deceiving you if you are playing back at different levels. Check your levels in both Cubase and Media player and make sure everything is set to unity gain (no boost or attenuation of the signal on either the track fader or the master fader in Cubase) and adjust the output level of Media player so it gives you the same level. Make sure you are importing the audio onto a stereo track in Cubase. Make sure no EQ is applied to the signal in either Cubase or Media Player.